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Replication files for:

'Sovereign Risk and Government Change: Elections, Ideology and Experience'

Journal:   Comparative Political Studies

Authors:   Sarah M. Brooks, Ohio State University (brooks.317@osu.edu)
           Raphael Cunha, Florida State University (rcunha@fsu.edu)
           Layna Mosley, Princeton University (layna.mosley@princeton.edu)

Date: July 2021

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All tables and figures in the article and the Supplementary Appendix were
produced in R version 3.6.2 (2019-12-12), with the exception of the GARCH models
reported in the Supplementary Appendix, which were estimated using Stata v. 15.
Below is a description of the files needed to reproduce each part of the
analysis.

1. ELECTION EVENT STUDY: Event study of sovereign risk and elections using daily
sovereign bond spreads and CDS prices. These files reproduce Tables 1-2 of the
main text and Tables A1-A2/Figures A1-A4 of the Supplementary Appendix:

- 1a_event_study_data_preparation.R [optional; can be skipped]
- 1b_event_study_abnormal_returns_elections.R


2. HETEROSKEDASTIC MODELS OF EMBI AND CDS SPREADS: These files estimate the
models of monthly EMBI and CDS spread volatility reported in Tables 4-5 and
Figures 1-2 in the main text, as well as the robustness checks reported in the
Supplementary Appendix:

- 2a_heteroskedastic_regression_data_preparation.R [optional; can be skipped]
- 2b_functions.R
- 2c_heteroskedastic_regression_analysis.R


3. MEXICO 2018: This file produces Figure 3 in the main text, showing the level
and volatility of Mexican sovereign spreads throughout the 2018 presidential
election:

- 3_mexico_2018_plot.R


4. FISCAL POLICY VOLATILITY: Analysis of fiscal policy volatility by partisanship
and populism. This file reproduces the analysis reported in Table 3 of the main
text and Section F of the Supplementary Appendix:

- 4_fiscal_policy_heterogeneity.R


5. GARCH ANALYSIS: Analysis of EMBI and CDS spread volatility using GARCH models.
The analysis was conducted using Stata version 15. This file reproduces the
results reported in Section G of the Supplementary Appendix.

- 5_stata_garch_models.do
